Spectral properties of empirical covariance matrices for data with power-law tails

Phys Rev E Stat Nonlin Soft Matter Phys. 2006 Oct;74(4 Pt 1):041129. doi: 10.1103/PhysRevE.74.041129. Epub 2006 Oct 31.

Abstract

We present an analytic method for calculating spectral densities of empirical covariance matrices for correlated data. In this approach the data is represented as a rectangular random matrix whose columns correspond to sampled states of the system. The method is applicable to a class of random matrices with radial measures including those with heavy (power-law) tails in the probability distribution. As an example we apply it to a multivariate Student distribution.